It means that the license string in the module is not compatible with the GPL (GNU's General Public License). In short, not all of the source for it is available, so if you run into something that looks like a bug in the kernel, and you report it to linux-kernel (the mailing list), and they see that your kernel is tainted, they won't provide support until you can reproduce the bug without the module having ever been loaded. In short, you'll have to reboot, not load X (or load it with the nv drivers rather than nvidia), and then reproduce the bug before they'll entertain the notion that the bug is actually in their code, as opposed to the nVidia module.

If the nVidia module had all of its source available and was released under a GPL-compatible license, then it wouldn't matter where the bug was, because the kernel developers would be able to find it. But this isn't the case, so you get warned.